Publications [#376881] of Tim Bollerslev

Journal Articles

1. Bollerslev, T; Li, J; Ren, Y, Optimal Inference for Spot Regressions, American Economic Review, vol. 114 no. 3 (March, 2024), pp. 678-708 [doi]
   (last updated on 2026/01/16)

   Abstract:
   Betas from return regressions are commonly used to measure systematic financial market risks. “Good” beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying betas with high-frequency data. The “local Gaussian” property of the generic continuous-time benchmark model enables optimal “finite-sample” inference in a well-defined sense. It also affords more reliable inference in empirically realistic settings compared to conventional large-sample approaches. Two applications pertaining to the tracking performance of leveraged ETFs and an intraday event study illustrate the practical usefulness of the new procedures.